%0 Journal Article
%T Study on the Impact of the Structure of Management Fee Rate on the Risk-taking Behavior of Security Investment Fund<br>费率结构对证券投资基金风险承担行为的影响研究
%A WANG Ming-hao
%A CHEN Zhong
%A CAI Xiao-yu
%A <br>王明好
%A 陈忠
%A 蔡晓钰
%J 系统工程理论与实践
%D 2004
%I 
%X In this paper, we investigate of the impact of a kind of linear structure of management fee rate on the risk-taking behavior of security investment fund. Our study show that the optimal portfolio which the fund manager choose will deviate more from the benchmark portfolio, namely market portfolio, when the degree of the asymmetry of the structure of management fee rate increase. Especially, when the return of the fund is less than that of the market portfolio and the penalty of the fund manager is zero, that is the degree of the asymmetry of the structure of management fee rate is maximum, the fund portfolio will completely deviate from the market portfolio. At the same time, we also find that the smaller the fund manager's risk aversion coefficient, and the smaller the fund manager's bonus coefficient, and the larger the return of the security A relative to that of market portfolio while the smaller the variance of the return of the security A relative to that of the market portfolio, the more the degree of the fund portfolio deviating from the market portfolio. Our study also show that fund portfolio deviating from the market portfolio does not necessarily lead to the increase of the variance of the fund's return, and this indicate that using the variance of the fund's return to measure the risk of the fund in some previous empirical study is not appropriate, and so it is more appropriate for using the degree of the fund portfolio deviating from the benchmark portfolio to measure the risk of the fund.
%K security investment fund
%K risk-taking behavior
%K structure of management fee rate<br>证券投资基金
%K 风险承担行为
%K 费率结构
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=B478D9164FC61F30&yid=D0E58B75BFD8E51C&vid=B91E8C6D6FE990DB&iid=F3090AE9B60B7ED1&sid=7555FB9CC973F695&eid=CDEBD1ACE0A4C1C1&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=5&reference_num=9